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Publication Citation: Bayes Estimators of Heterogeneity Variance and T-Systems

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Author(s): Andrew L. Rukhin;
Title: Bayes Estimators of Heterogeneity Variance and T-Systems
Published: January 08, 2014
Abstract: The considered problem concerns simultaneous inference for curve-confined natural parameters of independent, heterogeneous gamma-random variables with known shape parameters. The meta-analysis motivated loss function is suggested and some properties of the minimax value for the corresponding risk are obtained. The form of Bayes estimators and quadrature formulas for their numerical evaluation are provided, along with Monte Carlo simulations.
Citation: Journal Of Statistical Planning And Inference
Keywords: Curved exponential family; Dirichlet averages; Laguerre polynomials, meta-analysis, minimaxity, quadrature formulas.
Research Areas: Statistics